I just managed to watch the Departed today. I had expected it to blow the HongKong counterpart out of the water. Given that the Americans had great actors cast, a legendary director in charger and tons of money in the budget. But, after watching it, it kind of disappointed me a litte.
I couldn't put my finger on the exact reason but I felt the climax when Leonardo's character died didn't have quite the same impact as the scene in Infernal Affairs. There are other similar scenes that had the same issue. For example, the death of Martin Sheen and Jack Nicholson was the same. After searching for a while on the internet, I found someone that figured out why this is the case.

"Infernal Affairs often feels like a film about two men, with all other characters being largely indistinct (again, see Heat), while The Departed exists within a tangible ecosystem, where every person is as important as the next, but we just happen to be focused on Costigan and Sullivan. Unfortunately, this does result in the loss of much of the emotional impact of the visceral climax of the film – after residing deep within the psyche of Chen and Lau, the sudden execution of Chen is a crushing experience for the audience, and while this is largely the case with Costigan’s death, it fits too neatly into Scorsese’s world of violence that it isn’t nearly as shocking and, therefore, not as affecting." via Subtitled Online

Maybe it's a matter of personal preference, I like Infernal Affairs better than the Departed. There is a sense of sympathy towards Andy Lau's character which I never felt for Matt Damon's character.